Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 5 | 5 | 5 |
| Score | 7.09 | 5.4 | 8 |
| Market Cap (Millions USD) | 23560.2 | 23290.48 | 23329.35 |
| Predicted Beta | 2.31 | 2.31 | 2.27 |
| Idiosyncratic Volatility | 2.02 | 2.93 | 3.09 |
Annualized return and volatility
| IVW | |
|---|---|
| Annualized Return | 0.0589 |
| Annualized Std Dev | 0.1846 |
| Annualized Sharpe (Rf=0%) | 0.3193 |
Row
Daily Return Statistics
| IVW | |
|---|---|
| Observations | 5009.0000 |
| NAs | 104.0000 |
| Minimum | -0.0926 |
| Quartile 1 | -0.0045 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1060 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0116 |
| Skewness | 0.0011 |
| Kurtosis | 7.2587 |
Downside Risk
| IVW | |
|---|---|
| Semi Deviation | 0.0084 |
| Gain Deviation | 0.0083 |
| Loss Deviation | 0.0090 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0082 |
| Downside Deviation (0%) | 0.0082 |
| Maximum Drawdown | 0.5733 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0279 |
| Modified VaR (95%) | -0.0171 |
| Modified ES (95%) | -0.0258 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-07-18 | 2009-03-09 | 2013-02-08 | -0.5733 | 3214 | 2212 | 1002 |
| 2018-10-02 | 2018-12-24 | 2019-04-23 | -0.2064 | 141 | 59 | 82 |
| 2015-11-04 | 2016-02-11 | 2016-07-08 | -0.1330 | 172 | 69 | 103 |
| 2015-07-21 | 2015-08-25 | 2015-10-29 | -0.1146 | 73 | 27 | 46 |
| 2018-01-29 | 2018-02-08 | 2018-06-04 | -0.0987 | 89 | 9 | 80 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IVW | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | 1.5 | 0.0 | 0.1 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 1.8 |
| 2001 | 0.6 | 0.4 | 0.0 | 1.9 | 0.5 | 0.0 | 0.0 | 0.0 | -0.2 | 2.9 | 0.0 | 0.0 | 6.2 |
| 2002 | -0.4 | 2.2 | -0.1 | 0.6 | 0.0 | -2.7 | -2.9 | 0.0 | 4.2 | 1.4 | 0.0 | 0.0 | 2.2 |
| 2003 | 0.0 | 0.0 | 1.1 | -0.3 | 0.0 | 1.1 | -0.8 | 0.0 | 2.2 | 0.0 | 1.0 | 0.0 | 4.3 |
| 2004 | 0.0 | 0.8 | 0.6 | 0.0 | -0.2 | -1.2 | 0.0 | 0.4 | 1.7 | -0.1 | 1.4 | 0.0 | 3.3 |
| 2005 | 0.7 | 0.3 | -0.6 | 0.0 | 0.8 | 0.2 | 0.1 | -0.4 | 0.0 | -0.3 | 1.3 | 0.0 | 2.0 |
| 2006 | 0.6 | 0.6 | 0.0 | -0.7 | 0.9 | 0.0 | -0.5 | 0.6 | 0.0 | -0.8 | -0.3 | 0.0 | 0.4 |
| 2007 | 0.4 | -0.3 | 0.0 | 0.1 | 0.4 | 0.0 | 0.7 | 0.0 | 1.0 | -2.5 | 0.0 | 0.0 | -0.1 |
| 2008 | 1.0 | 0.0 | 3.2 | 1.4 | 0.0 | 0.6 | -0.6 | 0.0 | -1.5 | 0.0 | -7.8 | 0.0 | -4.0 |
| 2009 | 0.0 | 0.0 | 1.6 | 0.7 | 2.5 | 0.5 | 0.0 | -1.8 | -2.4 | 0.0 | 1.3 | 0.0 | 2.2 |
| 2010 | 1.6 | 1.3 | 0.6 | 0.0 | -1.7 | -0.2 | 0.0 | 2.8 | 0.3 | 0.2 | 2.2 | 0.0 | 7.3 |
| 2011 | 1.4 | -1.7 | 0.3 | 0.0 | -2.1 | 1.5 | -0.5 | -1.0 | 0.0 | -2.5 | 0.1 | 0.0 | -4.4 |
| 2012 | 0.7 | 0.5 | 0.0 | 0.4 | -2.4 | 0.0 | -0.2 | 0.0 | 0.2 | 1.0 | 0.0 | 0.0 | 0.2 |
| 2013 | 0.9 | 0.5 | -0.4 | -0.7 | 0.0 | 0.7 | 1.1 | 0.0 | 0.9 | 0.2 | 0.0 | 0.0 | 3.2 |
| 2014 | 0.0 | 0.0 | 0.9 | 0.2 | 0.0 | 0.8 | -0.3 | 0.0 | -1.5 | 0.0 | -0.9 | 0.0 | -0.9 |
| 2015 | 0.0 | 0.0 | -0.5 | 1.3 | 0.4 | 0.8 | 0.0 | -2.9 | 0.5 | 0.0 | 1.0 | 0.0 | 0.4 |
| 2016 | 0.2 | 2.6 | 1.0 | 0.0 | 0.1 | 0.3 | 0.3 | 0.1 | 0.0 | -0.8 | -1.0 | 0.0 | 2.8 |
| 2017 | 0.2 | 1.2 | 0.0 | 0.4 | 0.6 | 0.0 | 0.2 | 0.0 | 0.0 | 0.0 | -0.3 | 0.0 | 2.3 |
| 2018 | -0.3 | -1.5 | 0.0 | 0.7 | 1.3 | 0.0 | 0.3 | 0.0 | 0.3 | 1.2 | 0.0 | 0.0 | 2.0 |
| 2019 | 0.0 | 0.8 | 1.0 | -1.0 | 0.0 | 0.9 | -0.4 | 0.0 | -1.1 | 0.6 | 0.0 | 0.1 | 0.9 |
Row
Rolling Performance Chart
Snail Trail Chart
